On the Best Unbiased Estimate for the Mean of a Short Autoregressive Time Series

Tuan Dinh Pham and Lanh Tat Tran

Econometric Theory, 1992, vol. 8, issue 1, 120-126

Abstract: A simple formula for computing the best linear unbiased estimate of the mean of an autoregressive process as well as its variance is given. Numerical results show that the estimate can have much lower variance than that of the usual sample mean.

Date: 1992
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